Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0027
Annualized Std Dev 0.1449
Annualized Sharpe (Rf=0%) -0.0185

Row

Daily Return Statistics

Close
Observations 4818.0000
NAs 1.0000
Minimum -0.1216
Quartile 1 -0.0031
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0035
Maximum 0.2164
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0091
Skewness 1.9338
Kurtosis 88.8030

Downside Risk

Close
Semi Deviation 0.0064
Gain Deviation 0.0076
Loss Deviation 0.0078
Downside Deviation (MAR=210%) 0.0114
Downside Deviation (Rf=0%) 0.0064
Downside Deviation (0%) 0.0064
Maximum Drawdown 0.5629
Historical VaR (95%) -0.0109
Historical ES (95%) -0.0208
Modified VaR (95%) NA
Modified ES (95%) NA
From Trough To Depth Length To Trough Recovery
2006-10-04 2008-10-10 NA -0.5629 3640 509 NA
2002-01-30 2004-05-10 2005-07-12 -0.1592 869 574 295
2005-09-08 2005-11-03 2006-01-20 -0.0676 93 41 52
2006-03-24 2006-07-13 2006-08-10 -0.0649 97 77 20
2006-01-25 2006-02-14 2006-03-23 -0.0332 41 15 26

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2002 0 0 -2 0.2 0.4 1.2 0.3 0 -0.7 -0.1 -0.2 0.5 -0.4
2003 0.1 0.4 0.7 0.4 0 -0.8 -0.3 0.3 -1.4 0.2 0 0.3 -0.2
2004 -0.3 0.3 0.1 0 0.5 0.2 1 -0.6 0.1 0.4 -0.5 0.7 2
2005 0.1 -0.1 -0.1 0.4 -0.5 0 0.3 0.4 0.1 0.4 0.5 -0.8 0.8
2006 -0.7 -0.4 0.1 0.2 0.5 0.4 0.5 1 0.1 -0.3 0.5 1.2 3
2007 0.1 0.1 0.1 0.1 -0.1 0.4 -0.7 -0.1 0.2 -0.2 0.7 0.9 1.5
2008 -0.1 -1.3 0.9 -0.1 0 -0.7 0.1 -0.1 0.8 -3.2 0.1 0.6 -2.9
2009 -0.4 0.7 0.6 0.6 0 -0.5 0.2 0.1 -0.4 1.5 0.3 0.3 3
2010 -0.1 0.5 -0.7 0.1 -0.1 0.1 0.7 -1 -0.1 0 -2.1 2.7 0.1
2011 0.1 -0.3 0.5 0.5 -0.5 0.7 1.2 -0.2 0.1 0.6 -0.1 -0.2 2.4
2012 -1.2 0.3 0 0.1 -0.3 0.3 -1.2 0.4 0.7 0.4 0.1 -0.4 -0.9
2013 -0.4 -0.3 0.5 -0.6 -1.7 0.5 -0.4 -0.2 0.1 -1.1 0.2 -1.3 -4.6
2014 0.2 0.2 -0.1 0.6 0 -0.1 0.9 0.3 -0.4 -0.4 0 -0.1 1
2015 0.3 0.9 -0.5 0 0.2 -0.2 0.4 0.1 0.1 0.1 0.5 0.7 2.5
2016 0.3 -0.1 -0.6 0.2 0 0.4 -0.2 0 -0.4 0.6 -1.3 -0.3 -1.4
2017 -0.1 -0.6 0.5 -0.3 0.6 0.4 0.8 0 0 0.1 0.1 -0.1 1.5
2018 -1 -0.5 0.1 0.7 0.1 -0.6 0.2 0.3 0 -0.3 -0.4 1.3 -0.1
2019 0.5 0 0 0 0 -0.1 -0.1 -0.1 0.1 0.1 0.2 -0.6 0.1
2020 0 -1 -1.6 0.6 0.1 0.7 -0.1 0.6 -1.6 -0.4 -0.1 1.9 -1
2021 -0.2 -0.1 0.1 NA NA NA NA NA NA NA NA NA -0.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2002-01-29  15.0 SPY    110. -0.0314  -0.0186  -0.0498  -0.0004   -0.189  -0.109        NA <NA>     NA    NA       NA
2 2002-01-30  15   SPY    112.  0.0144  -0.012   -0.0356   0.0411   -0.180  -0.113        NA <NA>     NA    NA       NA
3 2002-01-31  15   SPY    113.  0.0117  -0.0035  -0.0098   0.0661   -0.168  -0.0916       NA <NA>     NA    NA       NA
4 2002-02-01  15   SPY    113. -0.0047  -0.0079  -0.0249   0.0647   -0.171  -0.111        NA <NA>     NA    NA       NA
5 2002-02-04  15   SPY    110. -0.0249  -0.0352  -0.0598   0.0123   -0.196  -0.140        NA <NA>     NA    NA       NA
6 2002-02-05  15.0 SPY    109. -0.0062  -0.0101  -0.0718  -0.0007   -0.208  -0.140        NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart